Why does every game that plays the 'this is all a dream world' card fail?

That's a metaphysical idea, not really part of the story. There's no point at which someone "wakes up" or even where you learn that it's a "dream." Also: 1) "dream" is probably metaphorical, it's more likely a computer simulation or perhaps some other kind of abstraction that's difficult for mortals to conceptualize, and 2) by definition, nobody in the TES universe knows it's a dream, because the ones who do immediately zero-sum unless you have CHIM.

Alice: Madness Returns was good.

jokes on you, i'm making a game where everything doesn't seem like it matters because it's in a dream but then you wake up and you realize it was real all along and it had very real consequences.. that are very serious

Hes being autistic but he is right about the model. Its a reference to a bone you find outside from Marias grave which gives you her dash ability. But the localisation translated it to a masculine description which as you can imagine made the 'muh lore' fags even more insufferable.
Its just twitching because the bones missing thats all.

How do you know the simulation isn't shut down at the end of our day and we are a new copy made each morning and you only live for a day like a mayfly with fake memories?

sweet dreams.

I want to wake up

Let's be real, Morrowind's lore doesn't apply to any of the other games.
The first two TES games were more Medieval Europe and the most recent two are more Tolkien. Each game's lore is different and inconsistent with each other.

I liked how you played in a dreamworld in NiGHTS, but had the main villain Wizeman want to enter the world of the humans. The game mostly is a dream, but at the same time, very real for the protags.

The best game besides Yume Nikki to capture what it feels like to be in a dream, from the beginning. You can even change how realistic the dream is and the tone of the dreams in LSD, depending on where you go. Granted, how you interact is limited, but where you go is up to you.